It can be anything, whether that be something in real life, your imagination, a film/book/movie/etc!
Here are some examples of my own:
1- I was very spooked by Mad Madam Mim from the Sword in the Stone film. I still feel really weird about that whole scene/character.
2- The film "The Black Cauldron" scared me. I had no idea what was going on but it was spooky. I still haven't watched it all the way through.
3- The Skesis from The Dark Crystal film terrified me as a child.
4- I was, and am still afraid of the space beneath my bed.